R and 'Eigen' integration using 'Rcpp'.
'Eigen' is a C++ template library for linear algebra: matrices, vectors,
numerical solvers and related algorithms. It supports dense and sparse
matrices on integer, floating point and complex numbers, decompositions of
such matrices, and solutions of linear systems. Its performance on many
algorithms is comparable with some of the best implementations based on
'Lapack' and level-3 'BLAS'. The 'RcppEigen' package includes the header
files from the 'Eigen' C++ template library (currently version 3.3.4). Thus
users do not need to install 'Eigen' itself in order to use 'RcppEigen'.
Since version 3.1.1, 'Eigen' is licensed under the Mozilla Public License
(version 2); earlier version were licensed under the GNU LGPL version 3 or
later. 'RcppEigen' (the 'Rcpp' bindings/bridge to 'Eigen') is licensed under
the GNU GPL version 2 or later, as is the rest of 'Rcpp'.